Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0434
Annualized Std Dev 0.2772
Annualized Sharpe (Rf=0%) 0.1565

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1611
Quartile 1 -0.0072
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0086
Maximum 0.2075
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0175
Skewness -0.0590
Kurtosis 12.4488

Downside Risk

Close
Semi Deviation 0.0126
Gain Deviation 0.0124
Loss Deviation 0.0137
Downside Deviation (MAR=210%) 0.0170
Downside Deviation (Rf=0%) 0.0125
Downside Deviation (0%) 0.0125
Maximum Drawdown 0.6972
Historical VaR (95%) -0.0260
Historical ES (95%) -0.0418
Modified VaR (95%) -0.0243
Modified ES (95%) -0.0253
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6972 3369 339 NA
1999-07-07 2001-09-21 2003-09-15 -0.3462 1053 556 497
2007-07-24 2007-08-16 2007-09-24 -0.2046 44 18 26
2004-04-13 2004-05-10 2004-09-30 -0.1603 119 20 99
2006-05-10 2006-06-13 2006-10-26 -0.1588 119 24 95

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.9 -0.6 1.2 0 -3 0.6 1.1 4.4 -0.6 -1.2 -1.2 0 2.3
2000 -0.6 -0.6 -4.2 -1.3 1.3 1.8 0.6 1.3 -0.7 1.4 2.1 -1.3 -0.4
2001 0.6 -0.2 -1.8 0.5 0.4 0.8 3.5 -2.5 5.3 1.9 -0.1 0.4 9.1
2002 -1.1 0.2 -0.6 -0.5 0.8 -0.6 -1.5 1.7 4.1 1.3 0.8 -1 3.4
2003 1.3 0.8 0.2 0.7 1 0.1 0.6 1.3 1.1 -0.2 0.4 0.9 8.5
2004 0.4 1.2 2.1 -0.4 -0.1 -0.9 0.5 1 0.6 0.7 0.2 0.6 6
2005 1 -0.6 0.7 0.9 0.8 -1 0.5 2.1 -0.8 -0.3 1.9 -0.2 5
2006 -0.5 -0.5 -0.2 1 -0.4 0.2 -0.4 0.5 0.1 1.7 -1.5 -1 -1
2007 -0.3 -0.4 0.9 0.1 1 -0.1 -1.8 3 2.5 -3.8 0.9 -1 1
2008 5.8 -4.6 2.4 0.6 0.9 -1.9 -2.8 -0.6 1 -1.6 -8.5 4.6 -5.2
2009 -1.4 -1.5 1.7 0.8 4.2 0.4 1.7 -2.1 -3.6 -4.3 2.4 0.2 -1.8
2010 2.4 2.8 1.9 -2.2 -3.1 0.1 0 5.6 1.1 0.7 2.8 0.1 12.4
2011 2 -2.2 1.2 -0.3 -2.3 0.7 0.1 -1 -3.3 -3.7 -0.9 0 -9.6
2012 1 0.6 0.5 0.5 -1.9 3.8 -0.3 1.3 1 0 0.4 1.8 9
2013 0.8 0.2 -0.4 -1.7 -2.6 -0.5 0 0.3 0.8 -0.1 -0.5 0.3 -3.3
2014 -1.1 -0.4 0.1 -0.9 -0.7 0.5 -0.6 0.1 0.2 0.5 -1.5 -1 -4.7
2015 -0.6 0.7 0.2 0.6 -0.8 1.1 0.3 -4.6 0.8 0.5 2.8 -1 -0.2
2016 0.2 3.2 -0.6 0.3 -0.2 0.5 -1.1 0.5 0.8 -0.4 1.1 -0.7 3.5
2017 0.5 1.1 -0.7 1 -0.2 -0.6 0.4 0.8 0.4 0.5 0.4 -0.1 3.4
2018 0.5 -0.7 0.8 0.5 0.7 0.5 -0.8 -1 -0.1 1.6 -1 0 0.9
2019 -0.1 0.7 1.1 -0.4 0 -0.2 -0.5 1.1 -1.3 1 -0.6 -0.4 0.4
2020 -2.5 -2.8 -3.4 -5 4.9 1 -1.9 -0.1 0.8 -0.5 2 -0.6 -8.1
2021 1.7 3.5 -0.4 NA NA NA NA NA NA NA NA NA 4.8

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart